quantlibaddin-cvs Mailing List for QuantLibAddin (Page 20)
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From: Cristina D. <cdu...@us...> - 2006-10-11 17:09:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4334/gensrc/config Modified Files: config.xml Log Message: added qlSimpleCashFlow Index: config.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/config/config.xml,v retrieving revision 1.32 retrieving revision 1.33 diff -C2 -d -r1.32 -r1.33 *** config.xml 9 Oct 2006 11:18:09 -0000 1.32 --- config.xml 11 Oct 2006 17:09:17 -0000 1.33 *************** *** 41,44 **** --- 41,45 ---- <categoryName>settings</categoryName> <categoryName>shortratemodels</categoryName> + <categoryName>simplecashflow</categoryName> <categoryName>statistics</categoryName> <categoryName>swap</categoryName> |
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From: Cristina D. <cdu...@us...> - 2006-10-11 17:09:21
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv4334 Modified Files: QuantLibObjects_vc8.vcproj Log Message: added qlSimpleCashFlow Index: QuantLibObjects_vc8.vcproj =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibObjects_vc8.vcproj,v retrieving revision 1.45 retrieving revision 1.46 diff -C2 -d -r1.45 -r1.46 *** QuantLibObjects_vc8.vcproj 24 Sep 2006 21:20:21 -0000 1.45 --- QuantLibObjects_vc8.vcproj 11 Oct 2006 17:09:17 -0000 1.46 *************** *** 538,541 **** --- 538,549 ---- </File> <File + RelativePath=".\qlo\vo_simplecashflow.cpp" + > + </File> + <File + RelativePath=".\qlo\vo_simplecashflow.hpp" + > + </File> + <File RelativePath=".\qlo\vo_statistics.cpp" > *************** *** 861,864 **** --- 869,876 ---- > </File> + <File + RelativePath=".\qlo\simplecashflow.hpp" + > + </File> </Filter> <Filter |
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From: Eric E. <eri...@us...> - 2006-10-11 16:37:12
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23238 Modified Files: Tag: R000314f0-branch Makefile.am Log Message: update build environment Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/Makefile.am,v retrieving revision 1.5 retrieving revision 1.5.2.1 diff -C2 -d -r1.5 -r1.5.2.1 *** Makefile.am 3 Oct 2006 14:58:13 -0000 1.5 --- Makefile.am 11 Oct 2006 16:37:08 -0000 1.5.2.1 *************** *** 34,37 **** --- 34,38 ---- interpolation2D.hpp \ interpolation.hpp \ + marketmodels.hpp \ mathf.hpp \ optimization.hpp \ |
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From: Eric E. <eri...@us...> - 2006-10-11 16:33:06
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21236 Modified Files: Tag: R000314f0-branch Makefile.am Log Message: update build environment Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Makefile.am,v retrieving revision 1.3 retrieving revision 1.3.2.1 diff -C2 -d -r1.3 -r1.3.2.1 *** Makefile.am 28 Aug 2006 10:05:21 -0000 1.3 --- Makefile.am 11 Oct 2006 16:33:01 -0000 1.3.2.1 *************** *** 33,42 **** --- 33,46 ---- BASEPATH = @abs_top_srcdir@ docs: + $(MAKE) -C gensrc BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-all docs-online: + $(MAKE) -C gensrc BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-online docs-dist: + $(MAKE) -C gensrc BASEPATH=$(BASEPATH) $(MAKE) -C Docs docs-dist docs-clean: + $(MAKE) -C gensrc clean $(MAKE) -C Docs docs-clean |
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From: Eric E. <eri...@us...> - 2006-10-11 16:33:05
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21236/gensrc Modified Files: Tag: R000314f0-branch Makefile.am Log Message: update build environment Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.am,v retrieving revision 1.5.2.1 retrieving revision 1.5.2.2 diff -C2 -d -r1.5.2.1 -r1.5.2.2 *** Makefile.am 11 Oct 2006 14:45:13 -0000 1.5.2.1 --- Makefile.am 11 Oct 2006 16:33:01 -0000 1.5.2.2 *************** *** 98,99 **** --- 98,102 ---- touch .time-stamp + clean: + rm -f .time-stamp + |
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From: Eric E. <eri...@us...> - 2006-10-11 16:18:19
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv15105 Added Files: Tag: R000314f0-branch todo.txt Log Message: update build environment --- NEW FILE: todo.txt --- todo.txt for QuantLibAddin ========================== to see a summary of recent activity on this project please visit http://www.quantlibaddin.org/history.html if you're interested in contributing to the project or need further information please send email to qua...@li... |
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From: Eric E. <eri...@us...> - 2006-10-11 15:48:37
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv2404/Addins/Calc Modified Files: Tag: R000314f0-branch Makefile.am Log Message: update linux build environment Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.am,v retrieving revision 1.6 retrieving revision 1.6.2.1 diff -C2 -d -r1.6 -r1.6.2.1 *** Makefile.am 9 Oct 2006 15:30:58 -0000 1.6 --- Makefile.am 11 Oct 2006 15:48:32 -0000 1.6.2.1 *************** *** 75,79 **** --- 75,81 ---- qladdin.hpp \ qldefs.hpp \ + ratehelpers.hpp \ settings.hpp \ + termstructures.hpp \ utilities.hpp \ volatilities.hpp *************** *** 94,99 **** --- 96,103 ---- processes.cpp \ qladdin.cpp \ + ratehelpers.cpp \ session.cpp \ settings.cpp \ + termstructures.cpp \ utilities.cpp \ volatilities.cpp |
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From: Eric E. <eri...@us...> - 2006-10-11 14:58:58
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv13637 Modified Files: Tag: R000314f0-branch qladdindefines.hpp Log Message: update version check Index: qladdindefines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/qladdindefines.hpp,v retrieving revision 1.8 retrieving revision 1.8.2.1 diff -C2 -d -r1.8 -r1.8.2.1 *** qladdindefines.hpp 31 Aug 2006 08:21:48 -0000 1.8 --- qladdindefines.hpp 11 Oct 2006 14:58:54 -0000 1.8.2.1 *************** *** 27,31 **** #include <oh/objhandler.hpp> ! #if OBJHANDLER_HEX_VERSION < 0x000104f0 #error using an incorrect version of ObjectHandler, please update. #endif --- 27,31 ---- #include <oh/objhandler.hpp> ! #if OBJHANDLER_HEX_VERSION < 0x000105f0 #error using an incorrect version of ObjectHandler, please update. #endif |
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From: Eric E. <eri...@us...> - 2006-10-11 14:45:17
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv8148 Modified Files: Tag: R000314f0-branch Makefile.am Log Message: fix typo Index: Makefile.am =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/Makefile.am,v retrieving revision 1.5 retrieving revision 1.5.2.1 diff -C2 -d -r1.5 -r1.5.2.1 *** Makefile.am 4 Oct 2006 13:33:23 -0000 1.5 --- Makefile.am 11 Oct 2006 14:45:13 -0000 1.5.2.1 *************** *** 43,47 **** metadata/volatilities.xml ! gensrc_pys := scripts/gensrc.py GENSRC_STUBS := stubs/stub.copyright \ --- 43,47 ---- metadata/volatilities.xml ! GENSRC_PYS := scripts/gensrc.py GENSRC_STUBS := stubs/stub.copyright \ |
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From: Eric E. <eri...@us...> - 2006-10-11 13:49:02
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv16563/qlo Modified Files: qladdindefines.hpp Log Message: update version number check Index: qladdindefines.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/qladdindefines.hpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** qladdindefines.hpp 31 Aug 2006 08:21:48 -0000 1.8 --- qladdindefines.hpp 11 Oct 2006 13:48:57 -0000 1.9 *************** *** 27,31 **** #include <oh/objhandler.hpp> ! #if OBJHANDLER_HEX_VERSION < 0x000104f0 #error using an incorrect version of ObjectHandler, please update. #endif --- 27,31 ---- #include <oh/objhandler.hpp> ! #if OBJHANDLER_HEX_VERSION < 0x000105f0 #error using an incorrect version of ObjectHandler, please update. #endif *************** *** 53,54 **** --- 53,55 ---- #endif + |
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From: Eric E. <eri...@us...> - 2006-10-11 13:39:15
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12261/Docs Modified Files: qla_header.html qla_header.subdir.html qla_headeronline.html qla_headeronline.subdir.html qladdin.root.doxy Log Message: update version number Index: qla_header.subdir.html =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qla_header.subdir.html,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qla_header.subdir.html 28 Aug 2006 10:05:24 -0000 1.3 --- qla_header.subdir.html 11 Oct 2006 13:39:06 -0000 1.4 *************** *** 37,41 **** <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.13</td></tr> </table> </center> --- 37,41 ---- <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.14</td></tr> </table> </center> Index: qla_headeronline.subdir.html =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qla_headeronline.subdir.html,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** qla_headeronline.subdir.html 28 Aug 2006 10:05:24 -0000 1.2 --- qla_headeronline.subdir.html 11 Oct 2006 13:39:06 -0000 1.3 *************** *** 37,41 **** <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.13</td></tr> </table> </center> --- 37,41 ---- <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.14</td></tr> </table> </center> Index: qla_header.html =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qla_header.html,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** qla_header.html 28 Aug 2006 10:05:24 -0000 1.5 --- qla_header.html 11 Oct 2006 13:39:06 -0000 1.6 *************** *** 37,41 **** <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.13</td></tr> </table> </center> --- 37,41 ---- <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.14</td></tr> </table> </center> Index: qladdin.root.doxy =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qladdin.root.doxy,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qladdin.root.doxy 5 Oct 2006 16:29:20 -0000 1.3 --- qladdin.root.doxy 11 Oct 2006 13:39:06 -0000 1.4 *************** *** 126,130 **** HTML_ALIGN_MEMBERS = YES GENERATE_HTMLHELP = YES ! CHM_FILE = ../QuantLibAddin-docs-0.3.13.chm HHC_LOCATION = hhc.exe GENERATE_CHI = NO --- 126,130 ---- HTML_ALIGN_MEMBERS = YES GENERATE_HTMLHELP = YES ! CHM_FILE = ../QuantLibAddin-docs-0.3.14.chm HHC_LOCATION = hhc.exe GENERATE_CHI = NO Index: qla_headeronline.html =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/qla_headeronline.html,v retrieving revision 1.3 retrieving revision 1.4 diff -C2 -d -r1.3 -r1.4 *** qla_headeronline.html 28 Aug 2006 10:05:24 -0000 1.3 --- qla_headeronline.html 11 Oct 2006 13:39:06 -0000 1.4 *************** *** 37,41 **** <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.13</td></tr> </table> </center> --- 37,41 ---- <center> <table class="layout" cellpadding=0 cellspacing=0 width=100%> ! <tr><td align="center" class="version">version 0.3.14</td></tr> </table> </center> |
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From: Eric E. <eri...@us...> - 2006-10-11 13:39:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12261/Docs/pages Modified Files: build.tutorial.docs calc.docs history.docs installation.docs Log Message: update version number Index: build.tutorial.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/build.tutorial.docs,v retrieving revision 1.6 retrieving revision 1.7 diff -C2 -d -r1.6 -r1.7 *** build.tutorial.docs 3 Oct 2006 10:07:01 -0000 1.6 --- build.tutorial.docs 11 Oct 2006 13:39:06 -0000 1.7 *************** *** 93,101 **** You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib 0.4.0</a> - the core C++ analytics library - <b>log4cxx 0.9.7a</b> - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler 0.2.0</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin 0.4.0</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL 0.4.0</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries --- 93,101 ---- You are now ready to build QuantLib. You need to compile the following projects: ! - <a href="http://quantlib.org/">QuantLib 0.3.14</a> - the core C++ analytics library - <b>log4cxx 0.9.7a</b> - a logging framework, used by ObjectHandler ! - <a href="http://www.objecthandler.org">ObjectHandler 0.1.5</a> - an object repository ! - <a href="http://www.quantlibaddin.org">QuantLibAddin 0.3.14</a> - Addins for QuantLib functionality ! - <a href="http://www.quantlibxl.org">QuantLibXL 0.3.14</a> - the Excel implementation of QuantLibAddin These projects are available with four different runtime libraries *************** *** 131,135 **** "QuantLibXL" (no version number) e.g: \verbatim ! C:\projects\QuantLibAddin-0.4.0 C:\projects\QuantLibXL \endverbatim --- 131,135 ---- "QuantLibXL" (no version number) e.g: \verbatim ! C:\projects\QuantLibAddin-0.3.14 C:\projects\QuantLibXL \endverbatim *************** *** 148,156 **** For purposes of this tutorial we assume all packages are installed to <tt>C:\\projects</tt> e.g.: \verbatim ! C:\projects\QuantLib-0.4.0 ! C:\projects\gensrc-0.2.0 C:\projects\log4cxx-0.9.7a ! C:\projects\ObjectHandler-0.2.0 ! C:\projects\QuantLibAddin-0.4.0 C:\projects\QuantLibXL \endverbatim --- 148,156 ---- For purposes of this tutorial we assume all packages are installed to <tt>C:\\projects</tt> e.g.: \verbatim ! C:\projects\QuantLib-0.3.14 ! C:\projects\gensrc-0.1.5 C:\projects\log4cxx-0.9.7a ! C:\projects\ObjectHandler-0.1.5 ! C:\projects\QuantLibAddin-0.3.14 C:\projects\QuantLibXL \endverbatim *************** *** 172,176 **** <img src="images/ql_build.jpg"> ! The build process creates file <tt>QuantLib\\lib\\QuantLib-vc80-mt-s-0_4_0.lib</tt>. Create environment variable <tt>QL_DIR</tt> and set it equal to the path to the --- 172,176 ---- <img src="images/ql_build.jpg"> ! The build process creates file <tt>QuantLib\\lib\\QuantLib-vc80-mt-s-0_3_14.lib</tt>. Create environment variable <tt>QL_DIR</tt> and set it equal to the path to the *************** *** 179,183 **** file. In other words the QuantLibAddin compilation will expect to find - QuantLib header files in directory <tt>\$(QL_DIR)\\include</tt> ! - QuantLib lib file <tt>QuantLib-vc80-mt-s-0_4_0.lib</tt> in directory <tt>\$(QL_DIR)\\lib</tt> \section sec_build_quantlibtestsuite Run the QuantLib Testsuite --- 179,183 ---- file. In other words the QuantLibAddin compilation will expect to find - QuantLib header files in directory <tt>\$(QL_DIR)\\include</tt> ! - QuantLib lib file <tt>QuantLib-vc80-mt-s-0_3_14.lib</tt> in directory <tt>\$(QL_DIR)\\lib</tt> \section sec_build_quantlibtestsuite Run the QuantLib Testsuite *************** *** 191,195 **** 1>Auto run test 1>===================================== ! 1>Testing QuantLib-vc80-mt-s-0_4_0.lib 1>===================================== 1>Running moreThan200 test cases... --- 191,195 ---- 1>Auto run test 1>===================================== ! 1>Testing QuantLib-vc80-mt-s-0_3_14.lib 1>===================================== 1>Running moreThan200 test cases... *************** *** 215,221 **** \section sec_build_log4cxx Install and Build log4cxx ! ObjectHandler versions 0.1.4 and 0.2.0 both rely on log4cxx version 0.9.7a. If you already built log4cxx 0.9.7a for ObjectHandler 0.1.4, you don't need to do ! anything further for ObjectHandler 0.2.0, and you can skip ahead to the next step. --- 215,221 ---- \section sec_build_log4cxx Install and Build log4cxx ! ObjectHandler versions 0.1.4 and 0.1.5 both rely on log4cxx version 0.9.7a. If you already built log4cxx 0.9.7a for ObjectHandler 0.1.4, you don't need to do ! anything further for ObjectHandler 0.1.5, and you can skip ahead to the next step. *************** *** 233,237 **** \section sec_build_gensrc Install gensrc ! Download <tt>gensrc-0.2.0.exe</tt> from the ObjectHandler 0.2.0 section of the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable --- 233,237 ---- \section sec_build_gensrc Install gensrc ! Download <tt>gensrc-0.1.5.exe</tt> from the ObjectHandler 0.1.5 section of the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable *************** *** 244,248 **** \section sec_build_objecthandler Install and Build ObjectHandler ! Download <tt>ObjectHandler-0.2.0.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable --- 244,248 ---- \section sec_build_objecthandler Install and Build ObjectHandler ! Download <tt>ObjectHandler-0.1.5.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install it to your hard drive. The installer sets environment variable *************** *** 253,261 **** <tt>Release</tt>, solution <tt>ohxllib</tt>, and do <tt>Build/Build ohxllib</tt>. The build process creates file ! <tt>ObjectHandler\\ohxl\\ohxllib\\lib\\ObjectHandler-vc80-mt-s-0_2_0.lib</tt>. \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.4.0.exe</tt> and <tt>QuantLibXL-src-0.4.0.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, --- 253,261 ---- <tt>Release</tt>, solution <tt>ohxllib</tt>, and do <tt>Build/Build ohxllib</tt>. The build process creates file ! <tt>ObjectHandler\\ohxl\\ohxllib\\lib\\ObjectHandler-vc80-mt-s-0_1_5.lib</tt>. \section sec_build_quantlibaddin Install and Build QuantLibAddin ! Download <tt>QuantLibAddin-0.3.14.exe</tt> and <tt>QuantLibXL-src-0.3.14.exe</tt> from the <a href="http://sourceforge.net/project/showfiles.php?group_id=12740">QuantLib downloads page</a> and install them to your hard drive. As explained above in section \ref sec_build_directories, *************** *** 273,277 **** <tt>Release</tt>, solution <tt>QuantLibXL</tt>, and do <tt>Build/Build QuantLibXL</tt>. The build process creates the QuantLibAddin XLL file ! <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_4_0.xll</tt>. \section sec_build_usage Usage --- 273,277 ---- <tt>Release</tt>, solution <tt>QuantLibXL</tt>, and do <tt>Build/Build QuantLibXL</tt>. The build process creates the QuantLibAddin XLL file ! <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_14.xll</tt>. \section sec_build_usage Usage *************** *** 279,283 **** To launch QuantLibXL: - start Excel ! - load the addin <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_4_0.xll</tt> - load a sample spreadsheet e.g. <tt>QuantLibXL\\Workbooks\\OriginalExamples\\instruments.xls</tt> - hit <tt>Ctrl-Alt-F9</tt> to force a recalculation of all formulas --- 279,283 ---- To launch QuantLibXL: - start Excel ! - load the addin <tt>QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_14.xll</tt> - load a sample spreadsheet e.g. <tt>QuantLibXL\\Workbooks\\OriginalExamples\\instruments.xls</tt> - hit <tt>Ctrl-Alt-F9</tt> to force a recalculation of all formulas Index: calc.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/calc.docs,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** calc.docs 28 Aug 2006 10:05:24 -0000 1.2 --- calc.docs 11 Oct 2006 13:39:06 -0000 1.3 *************** *** 33,37 **** When installing the OOo SDK: ! \li make sure you get the version of the OOo SDK that corresponds to the version of OOo which you have installed. QuantLibAddin 0.3.13 has been tested against OOo/OOo SDK versions 2.0.1 and 2.0.2. \li the OOo SDK must be installed to a path which contains no spaces, because of a bug in OOo SDK utility \c idlc which prevents it from processing pathnames containing spaces. --- 33,37 ---- When installing the OOo SDK: ! \li make sure you get the version of the OOo SDK that corresponds to the version of OOo which you have installed. QuantLibAddin 0.3.14 has been tested against OOo/OOo SDK versions 2.0.1 and 2.0.2. \li the OOo SDK must be installed to a path which contains no spaces, because of a bug in OOo SDK utility \c idlc which prevents it from processing pathnames containing spaces. *************** *** 72,76 **** \li \b regmerge - Run OOo utility \b regmerge to merge the urd file into rdb (registry database) file QuantLibAddinCalc.rdb. The rdb is used by OOo at runtime to infer the functionality available in the Addin. \li \b cppumaker - Run OOo utility \b cppumaker to generate the source code corresponding to the definitions in the rdb. ! \li \b compile - Compile the Addin, including the source generated above, plus the function implementation source code supplied for the Addin. The Addin is compiled into a shared library, i.e. <b>QuantLibAddinCalc-vc71-mt-0_3_13.dll</b> (Windows) or <b>libQuantLibAddinCalc-0.3.13.so</b> (Linux). \li \b install - Copy the Addin's shared library and registry database to the OOo program directory. --- 72,76 ---- \li \b regmerge - Run OOo utility \b regmerge to merge the urd file into rdb (registry database) file QuantLibAddinCalc.rdb. The rdb is used by OOo at runtime to infer the functionality available in the Addin. \li \b cppumaker - Run OOo utility \b cppumaker to generate the source code corresponding to the definitions in the rdb. ! \li \b compile - Compile the Addin, including the source generated above, plus the function implementation source code supplied for the Addin. The Addin is compiled into a shared library, i.e. <b>QuantLibAddinCalc-vc71-mt-0_3_14.dll</b> (Windows) or <b>libQuantLibAddinCalc-0.3.14.so</b> (Linux). \li \b install - Copy the Addin's shared library and registry database to the OOo program directory. *************** *** 92,98 **** component.PackageRegistryBackend/unorc<br> UNO_TYPES=$ORIGIN/types.rdb ${\$PKG_SharedUnoFile:UNO_TYPES} ${\$PKG_UserUnoFile:UNO_TYPES}<br> ! <b>$ORIGIN/QuantLibAddinCalc-vc71-mt-0_3_13.rdb</b><br> UNO_SERVICES=${\$PKG_UserUnoFile:UNO_SERVICES} ${\$PKG_SharedUnoFile:UNO_SERVICES}<br> ! $ORIGIN/services.rdb <b>$ORIGIN/QuantLibAddinCalc-vc71-mt-0_3_13.rdb</b><br> UNO_JAVA_COMPONENT_PATH=$ORIGIN/classes<br> URE_INTERNAL_JAVA_DIR=$ORIGIN/classes<br> --- 92,98 ---- component.PackageRegistryBackend/unorc<br> UNO_TYPES=$ORIGIN/types.rdb ${\$PKG_SharedUnoFile:UNO_TYPES} ${\$PKG_UserUnoFile:UNO_TYPES}<br> ! <b>$ORIGIN/QuantLibAddinCalc-vc71-mt-0_3_14.rdb</b><br> UNO_SERVICES=${\$PKG_UserUnoFile:UNO_SERVICES} ${\$PKG_SharedUnoFile:UNO_SERVICES}<br> ! $ORIGIN/services.rdb <b>$ORIGIN/QuantLibAddinCalc-vc71-mt-0_3_14.rdb</b><br> UNO_JAVA_COMPONENT_PATH=$ORIGIN/classes<br> URE_INTERNAL_JAVA_DIR=$ORIGIN/classes<br> Index: history.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/history.docs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** history.docs 4 Oct 2006 07:28:15 -0000 1.4 --- history.docs 11 Oct 2006 13:39:06 -0000 1.5 *************** *** 24,34 **** /*! \page history Version History ! <strong>Release 0.4.0 - October 2006</strong> REQUIRED PACKAGES ! - QuantLib version 0.4.0 ! - ObjectHandler version 0.2.0 ! - gensrc version 0.2.0 FUNCTIONALITY --- 24,34 ---- /*! \page history Version History ! <strong>Release 0.3.14 - October 2006</strong> REQUIRED PACKAGES ! - QuantLib version 0.3.14 ! - ObjectHandler version 0.1.5 ! - gensrc version 0.1.5 FUNCTIONALITY Index: installation.docs =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/pages/installation.docs,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** installation.docs 3 Oct 2006 11:06:38 -0000 1.4 --- installation.docs 11 Oct 2006 13:39:06 -0000 1.5 *************** *** 27,31 **** This document provides general instructions for building and installing ! %QuantLibAddin 0.3.13 under Windows, and on platforms which use Autoconf e.g. Linux. \li For a precompiled binary installation of the Excel addin, please --- 27,31 ---- This document provides general instructions for building and installing ! %QuantLibAddin 0.3.14 under Windows, and on platforms which use Autoconf e.g. Linux. \li For a precompiled binary installation of the Excel addin, please *************** *** 46,50 **** \section install_prerequisites Prerequisites ! \li <a href="http://quantlib.org/">QuantLib</a> version 0.3.13 \li <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> version 0.1.3 --- 46,50 ---- \section install_prerequisites Prerequisites ! \li <a href="http://quantlib.org/">QuantLib</a> version 0.3.14 \li <a href="http://quantlib.org/objecthandler/">ObjectHandler</a> version 0.1.3 *************** *** 60,64 **** \li load the Addin. The name of the Addin will depend on the compiler version and configuration, e.g. if compiled under VC8 release the Addin is called ! <strong>%QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_13.xll</strong>. \li load a sample spreadsheet e.g. <strong>%QuantLibXL\\Workbooks\\OriginalExamples\\options.xls</strong> \li hit Ctrl-Alt-F9 to force a recalculation of all formulas --- 60,64 ---- \li load the Addin. The name of the Addin will depend on the compiler version and configuration, e.g. if compiled under VC8 release the Addin is called ! <strong>%QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_3_14.xll</strong>. \li load a sample spreadsheet e.g. <strong>%QuantLibXL\\Workbooks\\OriginalExamples\\options.xls</strong> \li hit Ctrl-Alt-F9 to force a recalculation of all formulas *************** *** 77,82 **** \verbatim ! tar zxfv QuantLibAddin-0.3.13.tar.gz ! cd QuantLibAddin-0.3.13 ./configure make --- 77,82 ---- \verbatim ! tar zxfv QuantLibAddin-0.3.14.tar.gz ! cd QuantLibAddin-0.3.14 ./configure make |
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From: Eric E. <eri...@us...> - 2006-10-11 13:39:13
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Update of /cvsroot/quantlibaddin/QuantLibAddin In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12261 Modified Files: Announce.txt QuantLibAddin.nsi configure.ac Log Message: update version number Index: configure.ac =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/configure.ac,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** configure.ac 28 Aug 2006 10:05:21 -0000 1.5 --- configure.ac 11 Oct 2006 13:39:04 -0000 1.6 *************** *** 1,4 **** # Process this file with autoconf to produce a configure script. ! AC_INIT([QuantLibAddin], [0.3.13], [qua...@li...], [QuantLibAddin]) --- 1,4 ---- # Process this file with autoconf to produce a configure script. ! AC_INIT([QuantLibAddin], [0.3.14], [qua...@li...], [QuantLibAddin]) Index: Announce.txt =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Announce.txt,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** Announce.txt 19 May 2006 16:56:16 -0000 1.1 --- Announce.txt 11 Oct 2006 13:39:04 -0000 1.2 *************** *** 11,15 **** http://quantlib.org ! Version 0.3.13 has been released and is available for download at http://sourceforge.net/project/showfiles.php?group_id=12740 --- 11,15 ---- http://quantlib.org ! Version 0.3.14 has been released and is available for download at http://sourceforge.net/project/showfiles.php?group_id=12740 *************** *** 24,28 **** bug tracker at <http://sourceforge.net/tracker/?group_id=12740&atid=112740> ! specifying that you're using QuantLibAddin 0.3.13 The QuantLib group --- 24,28 ---- bug tracker at <http://sourceforge.net/tracker/?group_id=12740&atid=112740> ! specifying that you're using QuantLibAddin 0.3.14 The QuantLib group Index: QuantLibAddin.nsi =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/QuantLibAddin.nsi,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** QuantLibAddin.nsi 28 Aug 2006 10:05:21 -0000 1.5 --- QuantLibAddin.nsi 11 Oct 2006 13:39:04 -0000 1.6 *************** *** 4,8 **** SetCompressor lzma ! !define VER_NUMBER "0.3.13" !define /date NOW "%Y%m%d-%H_%M" --- 4,8 ---- SetCompressor lzma ! !define VER_NUMBER "0.3.14" !define /date NOW "%Y%m%d-%H_%M" |
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From: Eric E. <eri...@us...> - 2006-10-11 13:39:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12261/Addins/Calc Modified Files: Makefile.vc Log Message: update version number Index: Makefile.vc =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/Calc/Makefile.vc,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** Makefile.vc 9 Oct 2006 15:30:58 -0000 1.4 --- Makefile.vc 11 Oct 2006 13:39:05 -0000 1.5 *************** *** 8,12 **** COMPONENT_NAME=QuantLibAddinCalc ! DLL_NAME=$(COMPONENT_NAME)-vc71-mt-0_3_13 DLL_DIR=dll INT_DIR=build\vc71\ReleaseCRTDLL --- 8,12 ---- COMPONENT_NAME=QuantLibAddinCalc ! DLL_NAME=$(COMPONENT_NAME)-vc71-mt-0_3_14 DLL_DIR=dll INT_DIR=build\vc71\ReleaseCRTDLL |
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From: Eric E. <eri...@us...> - 2006-10-11 13:39:10
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Addins/C In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv12261/Addins/C Modified Files: auto_link.h Log Message: update version number Index: auto_link.h =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Addins/C/auto_link.h,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 *** auto_link.h 28 Aug 2006 10:05:22 -0000 1.2 --- auto_link.h 11 Oct 2006 13:39:05 -0000 1.3 *************** *** 57,61 **** #define OH_LIB_NAME "ObjectHandler-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_1_4.lib" ! #define QL_LIB_NAME "QuantLib-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_3_13.lib" #pragma message("Linking to lib file: " OH_LIB_NAME) --- 57,61 ---- #define OH_LIB_NAME "ObjectHandler-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_1_4.lib" ! #define QL_LIB_NAME "QuantLib-" LIB_TOOLSET LIB_THREAD_OPT LIB_RT_OPT "-0_3_14.lib" #pragma message("Linking to lib file: " OH_LIB_NAME) |
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From: Ferdinando A. <na...@us...> - 2006-10-11 11:53:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv32307/gensrc/metadata Modified Files: couponvectors.xml forwardrateagreement.xml index.xml marketmodels.xml Log Message: adopting QuantLib::Types Index: index.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/index.xml,v retrieving revision 1.39 retrieving revision 1.40 diff -C2 -d -r1.39 -r1.40 *** index.xml 5 Oct 2006 20:17:09 -0000 1.39 --- index.xml 11 Oct 2006 11:53:24 -0000 1.40 *************** *** 71,75 **** <description>fixing dates</description> </Parameter> ! <Parameter name='fixings' vectorIterator='begin'> <type>double</type> <tensorRank>vector</tensorRank> --- 71,75 ---- <description>fixing dates</description> </Parameter> ! <Parameter name='fixings' libraryType='QuantLib::Rate' vectorIterator='begin'> <type>double</type> <tensorRank>vector</tensorRank> Index: forwardrateagreement.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/forwardrateagreement.xml,v retrieving revision 1.17 retrieving revision 1.18 diff -C2 -d -r1.17 -r1.18 *** forwardrateagreement.xml 6 Oct 2006 12:08:13 -0000 1.17 --- forwardrateagreement.xml 11 Oct 2006 11:53:24 -0000 1.18 *************** *** 32,36 **** <description>instrument position (Long for a purchase, Short for a sale)</description> </Parameter> ! <Parameter name='strike'> <type>double</type> <tensorRank>scalar</tensorRank> --- 32,36 ---- <description>instrument position (Long for a purchase, Short for a sale)</description> </Parameter> ! <Parameter name='strike' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 65,69 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 65,69 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> Index: couponvectors.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/couponvectors.xml,v retrieving revision 1.35 retrieving revision 1.36 diff -C2 -d -r1.35 -r1.36 *** couponvectors.xml 5 Oct 2006 20:17:09 -0000 1.35 --- couponvectors.xml 11 Oct 2006 11:53:24 -0000 1.36 *************** *** 36,40 **** <description>coupon nominals</description> </Parameter> ! <Parameter name='couponRates'> <type>double</type> <tensorRank>vector</tensorRank> --- 36,40 ---- <description>coupon nominals</description> </Parameter> ! <Parameter name='couponRates' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 77,81 **** <description>underlying index</description> </Parameter> ! <Parameter name='spreads' default='0'> <type>double</type> <tensorRank>vector</tensorRank> --- 77,81 ---- <description>underlying index</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 123,127 **** <description>day counter</description> </Parameter> ! <Parameter name='spreads'> <type>double</type> <tensorRank>vector</tensorRank> --- 123,127 ---- <description>day counter</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 133,142 **** <description>gearings</description> </Parameter> ! <Parameter name='caps'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors'> <type>double</type> <tensorRank>vector</tensorRank> --- 133,142 ---- <description>gearings</description> </Parameter> ! <Parameter name='caps' libraryType='QuantLib::Rate'> ! <type>double</type> ! <tensorRank>vector</tensorRank> ! <description>caps</description> ! </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 151,155 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> </Parameter> <Parameter name='VanillaCMSCouponPricerType'> --- 151,155 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure object ID</description> </Parameter> <Parameter name='VanillaCMSCouponPricerType'> *************** *** 204,208 **** <description>day counter</description> </Parameter> ! <Parameter name='spreads'> <type>double</type> <tensorRank>vector</tensorRank> --- 204,208 ---- <description>day counter</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 214,223 **** <description>gearings</description> </Parameter> ! <Parameter name='caps'> <type>double</type> <tensorRank>vector</tensorRank> <description>caps</description> </Parameter> ! <Parameter name='floors'> <type>double</type> <tensorRank>vector</tensorRank> --- 214,223 ---- <description>gearings</description> </Parameter> ! <Parameter name='caps' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>caps</description> </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 285,289 **** <description>day counter</description> </Parameter> ! <Parameter name='spreads'> <type>double</type> <tensorRank>vector</tensorRank> --- 285,289 ---- <description>day counter</description> </Parameter> ! <Parameter name='spreads' libraryType='QuantLib::Spread' default='0'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 295,304 **** <description>gearings</description> </Parameter> ! <Parameter name='caps'> <type>double</type> <tensorRank>vector</tensorRank> <description>caps</description> </Parameter> ! <Parameter name='floors'> <type>double</type> <tensorRank>vector</tensorRank> --- 295,304 ---- <description>gearings</description> </Parameter> ! <Parameter name='caps' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> <description>caps</description> </Parameter> ! <Parameter name='floors' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 313,317 **** <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure</description> </Parameter> <Parameter name='VanillaCMSCouponPricerType'> --- 313,317 ---- <type>string</type> <tensorRank>scalar</tensorRank> ! <description>Swaption Volatility Structure object ID</description> </Parameter> <Parameter name='VanillaCMSCouponPricerType'> Index: marketmodels.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/marketmodels.xml,v retrieving revision 1.46 retrieving revision 1.47 diff -C2 -d -r1.46 -r1.47 *** marketmodels.xml 6 Oct 2006 12:08:13 -0000 1.46 --- marketmodels.xml 11 Oct 2006 11:53:24 -0000 1.47 *************** *** 27,31 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>vector</tensorRank> --- 27,31 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 75,79 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> --- 75,79 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 85,94 **** <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> --- 85,94 ---- <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 107,126 **** <ParameterList> <Parameters> ! <Parameter name='rateTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals'> <type>double</type> <tensorRank>vector</tensorRank> <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes'> <type>double</type> <tensorRank>vector</tensorRank> --- 107,126 ---- <ParameterList> <Parameters> ! <Parameter name='rateTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> <description>rate fixing times</description> </Parameter> ! <Parameter name='accruals' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> <description>accrual factors</description> </Parameter> ! <Parameter name='paymentTimes' libraryType='QuantLib::Time'> <type>double</type> <tensorRank>vector</tensorRank> <description>payment times of the product</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>vector</tensorRank> |
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From: Giorgio F. <gi...@us...> - 2006-10-11 11:46:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29102/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** ratehelpers.hpp 9 Oct 2006 15:48:19 -0000 1.5 --- ratehelpers.hpp 11 Oct 2006 11:46:32 -0000 1.6 *************** *** 30,37 **** class RateHelper : public ObjHandler::LibraryObject<QuantLib::RateHelper> { - public: - double setQuote(double quote); protected: - boost::shared_ptr<QuantLib::SimpleQuote> quote_; QuantLib::Handle<QuantLib::Quote> quoteHandle_; }; --- 30,34 ---- *************** *** 40,44 **** public: DepositRateHelper( ! const double quote, const QuantLib::Period& p, const long fixingDays, --- 37,41 ---- public: DepositRateHelper( ! const QuantLib::Handle<QuantLib::Quote>& quote, const QuantLib::Period& p, const long fixingDays, *************** *** 51,55 **** public: FuturesRateHelper( ! const double price, const std::string& immDateID, const QuantLib::Integer months, --- 48,52 ---- public: FuturesRateHelper( ! const QuantLib::Handle<QuantLib::Quote>& price, const std::string& immDateID, const QuantLib::Integer months, *************** *** 57,64 **** const QuantLib::BusinessDayConvention& bDayConvention, const QuantLib::DayCounter& dayCounter, ! const QuantLib::Rate convAdj); ! QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj); protected: - boost::shared_ptr<QuantLib::SimpleQuote> convAdj_; QuantLib::Handle<QuantLib::Quote> convAdjHandle_; }; --- 54,60 ---- const QuantLib::BusinessDayConvention& bDayConvention, const QuantLib::DayCounter& dayCounter, ! const QuantLib::Handle<QuantLib::Quote>& convAdj); ! protected: QuantLib::Handle<QuantLib::Quote> convAdjHandle_; }; *************** *** 67,71 **** public: SwapRateHelper( ! const double quote, const QuantLib::Period& p, const long fixingDays, --- 63,67 ---- public: SwapRateHelper( ! const QuantLib::Handle<QuantLib::Quote>& quote, const QuantLib::Period& p, const long fixingDays, Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** ratehelpers.cpp 9 Oct 2006 15:48:18 -0000 1.9 --- ratehelpers.cpp 11 Oct 2006 11:46:31 -0000 1.10 *************** *** 33,42 **** namespace QuantLibAddin { - double RateHelper::setQuote(double quote) { - return quote_->setValue(quote); - } - DepositRateHelper::DepositRateHelper( ! const double quote, const QuantLib::Period& p, const long fixingDays, --- 33,38 ---- namespace QuantLibAddin { DepositRateHelper::DepositRateHelper( ! const QuantLib::Handle<QuantLib::Quote>& quote, const QuantLib::Period& p, const long fixingDays, *************** *** 45,51 **** const QuantLib::DayCounter& dayCounter) { ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( ! new QuantLib::SimpleQuote(quote)); ! quoteHandle_.linkTo(quote_); libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( --- 41,45 ---- const QuantLib::DayCounter& dayCounter) { ! quoteHandle_ = quote; libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( *************** *** 59,63 **** FuturesRateHelper::FuturesRateHelper( ! const double price, const std::string& immDateID, const QuantLib::Integer months, --- 53,57 ---- FuturesRateHelper::FuturesRateHelper( ! const QuantLib::Handle<QuantLib::Quote>& price, const std::string& immDateID, const QuantLib::Integer months, *************** *** 65,77 **** const QuantLib::BusinessDayConvention& bDayConvention, const QuantLib::DayCounter& dayCounter, ! const QuantLib::Rate convAdj) { ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>( ! new QuantLib::SimpleQuote(price)); ! quoteHandle_.linkTo(quote_); ! ! convAdj_ = boost::shared_ptr<QuantLib::SimpleQuote>( ! new QuantLib::SimpleQuote(convAdj)); ! convAdjHandle_.linkTo(convAdj_); QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); --- 59,66 ---- const QuantLib::BusinessDayConvention& bDayConvention, const QuantLib::DayCounter& dayCounter, ! const QuantLib::Handle<QuantLib::Quote>& convAdj) { ! quoteHandle_ = price; ! convAdjHandle_= convAdj; QuantLib::Date expiry = QuantLib::Date::IMMdate(immDateID); *************** *** 88,100 **** } - QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj) - { - QuantLib::Spread diff = convAdj - convAdj_->value(); - convAdj_->setValue(convAdj); - return diff; - } SwapRateHelper::SwapRateHelper( ! const double quote, const QuantLib::Period& p, const long fixingDays, --- 77,83 ---- } SwapRateHelper::SwapRateHelper( ! const QuantLib::Handle<QuantLib::Quote>& quote, const QuantLib::Period& p, const long fixingDays, *************** *** 105,110 **** const boost::shared_ptr<QuantLib::Xibor>& index) { ! quote_ = boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(quote)); ! quoteHandle_.linkTo(quote_); libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( --- 88,92 ---- const boost::shared_ptr<QuantLib::Xibor>& index) { ! quoteHandle_ = quote; libraryObject_ = boost::shared_ptr<QuantLib::RateHelper>( |
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From: Giorgio F. <gi...@us...> - 2006-10-11 11:46:35
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv29102/gensrc/metadata Modified Files: ratehelpers.xml Log Message: Index: ratehelpers.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/ratehelpers.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** ratehelpers.xml 9 Oct 2006 15:30:59 -0000 1.28 --- ratehelpers.xml 11 Oct 2006 11:46:31 -0000 1.29 *************** *** 5,8 **** --- 5,9 ---- <includes> <include>qlo/ratehelpers.hpp</include> + <include>qlo/termstructures.hpp</include> <include>qlo/index.hpp</include> </includes> *************** *** 60,84 **** </Member> - <Member name='qlSetQuote' objectClass='RateHelper'> - <description>update quote of existing Rate Helper object</description> - <libraryFunction>setQuote</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='Quote'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the new quote</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <Constructor name='qlDepositRateHelper'> <libraryFunction>DepositRateHelper</libraryFunction> --- 61,64 ---- *************** *** 89,94 **** <ParameterList> <Parameters> ! <Parameter name='quote' default='QuantLib::Null<double>()'> ! <type>double</type> <tensorRank>scalar</tensorRank> <description>quote</description> --- 69,74 ---- <ParameterList> <Parameters> ! <Parameter name='quote' libToHandle='Quote'> ! <type>string</type> <tensorRank>scalar</tensorRank> <description>quote</description> *************** *** 130,135 **** <ParameterList> <Parameters> ! <Parameter name='quote' default='QuantLib::Null<double>()'> ! <type>double</type> <tensorRank>scalar</tensorRank> <description>quote</description> --- 110,115 ---- <ParameterList> <Parameters> ! <Parameter name='quote' libToHandle='Quote'> ! <type>string</type> <tensorRank>scalar</tensorRank> <description>quote</description> *************** *** 189,213 **** </Member> - <Member name='qlSetConvexityAdjustment' objectClass='FuturesRateHelper'> - <description>update convexity adjustment of existing FuturesRateHelper object</description> - <libraryFunction>setConvexityAdjustment</libraryFunction> - <SupportedPlatforms> - <Excel/> - </SupportedPlatforms> - <ParameterList> - <Parameters> - <Parameter name='convAdj'> - <type>double</type> - <tensorRank>scalar</tensorRank> - <description>the new convexity adjustment</description> - </Parameter> - </Parameters> - </ParameterList> - <ReturnValue> - <type>double</type> - <tensorRank>scalar</tensorRank> - </ReturnValue> - </Member> - <Constructor name='qlFuturesRateHelper'> <libraryFunction>FuturesRateHelper</libraryFunction> --- 169,172 ---- *************** *** 217,222 **** <ParameterList> <Parameters> ! <Parameter name='price' default='QuantLib::Null<double>()'> ! <type>double</type> <tensorRank>scalar</tensorRank> <description>future price</description> --- 176,181 ---- <ParameterList> <Parameters> ! <Parameter name='price' libToHandle='Quote' > ! <type>string</type> <tensorRank>scalar</tensorRank> <description>future price</description> *************** *** 247,252 **** <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='convexityAdj' default='0'> ! <type>double</type> <tensorRank>scalar</tensorRank> <description>convexity adjustment (i.e. Forward rate = Futures rate - convexity adjustment)</description> --- 206,211 ---- <description>day counter (e.g. Actual/360)</description> </Parameter> ! <Parameter name='convexityAdj' libToHandle='Quote'> ! <type>string</type> <tensorRank>scalar</tensorRank> <description>convexity adjustment (i.e. Forward rate = Futures rate - convexity adjustment)</description> |
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From: Eric E. <eri...@us...> - 2006-10-11 11:44:36
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv28240/gensrc/metadata Modified Files: enumclasses.xml enumcurves.xml enumtypes.xml Log Message: store enumeration type as XML attribute rather than property Index: enumcurves.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumcurves.xml,v retrieving revision 1.1 retrieving revision 1.2 diff -C2 -d -r1.1 -r1.2 *** enumcurves.xml 24 Jul 2006 18:06:01 -0000 1.1 --- enumcurves.xml 11 Oct 2006 11:44:32 -0000 1.2 *************** *** 2,7 **** <Enumerations> ! <Enumeration> ! <type>QuantLib::YieldTermStructure</type> <EnumerationDefinitions> <!-- Discount based yield term structures --> --- 2,6 ---- <Enumerations> ! <Enumeration type='QuantLib::YieldTermStructure'> <EnumerationDefinitions> <!-- Discount based yield term structures --> Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.22 retrieving revision 1.23 diff -C2 -d -r1.22 -r1.23 *** enumtypes.xml 11 Oct 2006 11:29:09 -0000 1.22 --- enumtypes.xml 11 Oct 2006 11:44:32 -0000 1.23 *************** *** 10,15 **** <Enumerations> ! <Enumeration> ! <type>QuantLib::EndCriteria::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 10,14 ---- <Enumerations> ! <Enumeration type='QuantLib::EndCriteria::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 33,38 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::SalvagingAlgorithm::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 32,36 ---- </Enumeration> ! <Enumeration type='QuantLib::SalvagingAlgorithm::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 52,57 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::PriceType</type> <constructor>true</constructor> <EnumerationDefinitions> --- 50,54 ---- </Enumeration> ! <Enumeration type='QuantLib::PriceType'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 87,92 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Position::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 84,88 ---- </Enumeration> ! <Enumeration type='QuantLib::Position::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 102,107 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Average::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 98,102 ---- </Enumeration> ! <Enumeration type='QuantLib::Average::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 117,122 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Barrier::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 112,116 ---- </Enumeration> ! <Enumeration type='QuantLib::Barrier::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 140,145 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::BusinessDayConvention</type> <constructor>true</constructor> <EnumerationDefinitions> --- 134,138 ---- </Enumeration> ! <Enumeration type='QuantLib::BusinessDayConvention'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 180,185 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Calendar</type> <constructor>false</constructor> <EnumerationDefinitions> --- 173,177 ---- </Enumeration> ! <Enumeration type='QuantLib::Calendar'> <constructor>false</constructor> <EnumerationDefinitions> *************** *** 374,379 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::CapFloor::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 366,370 ---- </Enumeration> ! <Enumeration type='QuantLib::CapFloor::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 393,398 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Settlement::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 384,388 ---- </Enumeration> ! <Enumeration type='QuantLib::Settlement::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 408,413 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Compounding</type> <constructor>true</constructor> <EnumerationDefinitions> --- 398,402 ---- </Enumeration> ! <Enumeration type='QuantLib::Compounding'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 431,436 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Currency</type> <constructor>false</constructor> <EnumerationDefinitions> --- 420,424 ---- </Enumeration> ! <Enumeration type='QuantLib::Currency'> <constructor>false</constructor> <EnumerationDefinitions> *************** *** 682,687 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::DayCounter</type> <constructor>false</constructor> <EnumerationDefinitions> --- 670,674 ---- </Enumeration> ! <Enumeration type='QuantLib::DayCounter'> <constructor>false</constructor> <EnumerationDefinitions> *************** *** 845,850 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Frequency</type> <constructor>true</constructor> <EnumerationDefinitions> --- 832,836 ---- </Enumeration> ! <Enumeration type='QuantLib::Frequency'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 908,913 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Option::Type</type> <constructor>true</constructor> <EnumerationDefinitions> --- 894,898 ---- </Enumeration> ! <Enumeration type='QuantLib::Option::Type'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 923,928 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::TimeUnit</type> <constructor>true</constructor> <EnumerationDefinitions> --- 908,912 ---- </Enumeration> ! <Enumeration type='QuantLib::TimeUnit'> <constructor>true</constructor> <EnumerationDefinitions> *************** *** 946,951 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::CubicSpline::BoundaryCondition</type> <constructor>false</constructor> <EnumerationDefinitions> --- 930,934 ---- </Enumeration> ! <Enumeration type='QuantLib::CubicSpline::BoundaryCondition'> <constructor>false</constructor> <EnumerationDefinitions> *************** *** 973,978 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::GFunctionFactory::ModelOfYieldCurve</type> <constructor>true</constructor> <EnumerationDefinitions> --- 956,960 ---- </Enumeration> ! <Enumeration type='QuantLib::GFunctionFactory::ModelOfYieldCurve'> <constructor>true</constructor> <EnumerationDefinitions> Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.28 retrieving revision 1.29 diff -C2 -d -r1.28 -r1.29 *** enumclasses.xml 11 Oct 2006 11:29:09 -0000 1.28 --- enumclasses.xml 11 Oct 2006 11:44:32 -0000 1.29 *************** *** 9,14 **** <Enumerations> ! <Enumeration> ! <type>QuantLib::Interpolation</type> <EnumerationDefinitions> <EnumerationDefinition> --- 9,13 ---- <Enumerations> ! <Enumeration type='QuantLib::Interpolation'> <EnumerationDefinitions> <EnumerationDefinition> *************** *** 30,35 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::VanillaCMSCouponPricer</type> <EnumerationDefinitions> <EnumerationDefinition> --- 29,33 ---- </Enumeration> ! <Enumeration type='QuantLib::VanillaCMSCouponPricer'> <EnumerationDefinitions> <EnumerationDefinition> *************** *** 46,51 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Interpolation2D</type> <EnumerationDefinitions> <EnumerationDefinition> --- 44,48 ---- </Enumeration> ! <Enumeration type='QuantLib::Interpolation2D'> <EnumerationDefinitions> <EnumerationDefinition> *************** *** 62,67 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::PricingEngine</type> <EnumerationDefinitions> <EnumerationDefinition> --- 59,63 ---- </Enumeration> ! <Enumeration type='QuantLib::PricingEngine'> <EnumerationDefinitions> <EnumerationDefinition> *************** *** 198,203 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::StrikedTypePayoff</type> <EnumerationDefinitions> <EnumerationDefinition> --- 194,198 ---- </Enumeration> ! <Enumeration type='QuantLib::StrikedTypePayoff'> <EnumerationDefinitions> <EnumerationDefinition> *************** *** 234,239 **** </Enumeration> ! <Enumeration> ! <type>QuantLib::Index</type> <EnumerationDefinitions> <!-- QuantLib::Euribor --> --- 229,233 ---- </Enumeration> ! <Enumeration type='QuantLib::Index'> <EnumerationDefinitions> <!-- QuantLib::Euribor --> |
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From: Ferdinando A. <na...@us...> - 2006-10-11 11:33:46
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23599/gensrc/metadata Modified Files: cmsmarket.xml Log Message: Index: cmsmarket.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/cmsmarket.xml,v retrieving revision 1.5 retrieving revision 1.6 diff -C2 -d -r1.5 -r1.6 *** cmsmarket.xml 5 Oct 2006 20:17:09 -0000 1.5 --- cmsmarket.xml 11 Oct 2006 11:33:43 -0000 1.6 *************** *** 12,19 **** </copyright> <Functions> - - <!-- CmsMarket constructors --> ! <Constructor name='qlCmsMarket'> <libraryFunction>CmsMarket</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 12,19 ---- </copyright> <Functions> ! <!-- CmsMarket constructors --> ! ! <Constructor name='qlCmsMarket'> <libraryFunction>CmsMarket</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 53,67 **** <description>Volatility structure</description> </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> --- 53,67 ---- <description>Volatility structure</description> </Parameter> ! <Parameter name='VanillaCMSCouponPricerType'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>Vanilla CMS Coupon Pricer Type (e.g ConundrumByBlack, ConundrumByNumericalIntegration)</description> ! </Parameter> ! <Parameter name='modelOfYieldCurve' enumeration='QuantLib::GFunctionFactory::ModelOfYieldCurve'> ! <type>string</type> ! <tensorRank>scalar</tensorRank> ! <description>model Of YieldCurve (e.g standard, exactYield, parallelShifts, nonParallelShifts)</description> ! </Parameter> ! </Parameters> </ParameterList> </Constructor> *************** *** 81,88 **** </ReturnValue> </Member> - - <!-- SmileAndCmsCalibrationBySabr constructors --> ! <Constructor name='qlSmileAndCmsCalibrationBySabr'> <libraryFunction>SmileAndCmsCalibrationBySabr</libraryFunction> <functionCategory>QuantLib</functionCategory> --- 81,88 ---- </ReturnValue> </Member> ! <!-- SmileAndCmsCalibrationBySabr constructors --> ! ! <Constructor name='qlSmileAndCmsCalibrationBySabr'> <libraryFunction>SmileAndCmsCalibrationBySabr</libraryFunction> <functionCategory>QuantLib</functionCategory> *************** *** 107,114 **** <description>weights for cms market calibration.</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Member name='qlSimultaneousCalibration' libraryClass='SmileAndCmsCalibrationBySabr'> <description>Return the best beta</description> --- 107,114 ---- <description>weights for cms market calibration.</description> </Parameter> ! </Parameters> </ParameterList> </Constructor> ! <Member name='qlSimultaneousCalibration' libraryClass='SmileAndCmsCalibrationBySabr'> <description>Return the best beta</description> *************** *** 129,131 **** </Functions> </Category> - --- 129,130 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-11 11:32:33
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv23146/gensrc/metadata Modified Files: capletvolstructure.xml Log Message: adopting QuantLib::Types Index: capletvolstructure.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/capletvolstructure.xml,v retrieving revision 1.18 retrieving revision 1.19 diff -C2 -d -r1.18 -r1.19 *** capletvolstructure.xml 6 Oct 2006 12:08:13 -0000 1.18 --- capletvolstructure.xml 11 Oct 2006 11:32:29 -0000 1.19 *************** *** 8,12 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> --- 8,12 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> *************** *** 14,18 **** <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strike'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>volatility</libraryFunction> --- 14,18 ---- <!-- CapletVolatilityStructure interface--> ! <Member name='qlCapletVTSVolatility' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> <description>Returns a vector of volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>volatility</libraryFunction> *************** *** 27,31 **** <description>cap/floor expiry date</description> </Parameter> ! <Parameter name='strike' const='False'> <type>double</type> <tensorRank>vector</tensorRank> --- 27,31 ---- <description>cap/floor expiry date</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 45,49 **** </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strike'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>blackVariance</libraryFunction> --- 45,49 ---- </Member> ! <Member name='qlCapletVTSBlackVariance' libraryClass='CapletVolatilityStructure' loopParameter='strikes'> <description>Returns a vector of black volatilities corresponding to a vector of strikes for a given exercise date.</description> <libraryFunction>blackVariance</libraryFunction> *************** *** 58,62 **** <description>cap/floor expiry date</description> </Parameter> ! <Parameter name='strike' const='False'> <type>double</type> <tensorRank>vector</tensorRank> --- 58,62 ---- <description>cap/floor expiry date</description> </Parameter> ! <Parameter name='strikes' libraryType='QuantLib::Rate' const='False'> <type>double</type> <tensorRank>vector</tensorRank> *************** *** 75,79 **** </ReturnValue> </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> <description>Returns the minimum strike for which the term structure can return vols.</description> --- 75,79 ---- </ReturnValue> </Member> ! <Member name='qlCapletVTSMinStrike' libraryClass='CapletVolatilityStructure'> <description>Returns the minimum strike for which the term structure can return vols.</description> *************** *** 85,89 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 85,89 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 100,104 **** <Parameters/> </ParameterList> ! <ReturnValue> <type>double</type> <tensorRank>scalar</tensorRank> --- 100,104 ---- <Parameters/> </ParameterList> ! <ReturnValue libraryType='QuantLib::Rate'> <type>double</type> <tensorRank>scalar</tensorRank> *************** *** 155,162 **** <ParameterList> <Parameters> ! <Parameter name='volatility'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatilities </description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> --- 155,162 ---- <ParameterList> <Parameters> ! <Parameter name='volatility' libraryType='QuantLib::Volatility'> <type>double</type> <tensorRank>scalar</tensorRank> ! <description>cap/floor constant volatility</description> </Parameter> <Parameter name='dayCounter' enumeration='QuantLib::DayCounter'> *************** *** 169,174 **** </Constructor> - </Functions> </Category> - --- 169,172 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-11 11:31:01
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv22311/gensrc/metadata Modified Files: mathf.xml Log Message: Index: mathf.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/mathf.xml,v retrieving revision 1.25 retrieving revision 1.26 diff -C2 -d -r1.25 -r1.26 *** mathf.xml 6 Oct 2006 16:40:44 -0000 1.25 --- mathf.xml 11 Oct 2006 11:30:57 -0000 1.26 *************** *** 12,21 **** </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> - <Procedure name='qlPrimeNumber' > <description>returns the N-th prime number</description> --- 12,20 ---- </includes> <copyright> ! Copyright (C) 2006 Ferdinando Ametrano </copyright> <Functions> <Procedure name='qlPrimeNumber' > <description>returns the N-th prime number</description> *************** *** 290,294 **** </Procedure> - <Procedure name="qlCovFromCorr"> <description>Returns the covariance matrix generated using the correlation matrix and the volatility array.</description> --- 289,292 ---- *************** *** 395,397 **** </Category> - --- 393,394 ---- |
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From: Ferdinando A. <na...@us...> - 2006-10-11 11:29:14
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Update of /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv21687/gensrc/metadata Modified Files: enumclasses.xml enumtypes.xml Log Message: in synch with C++ Index: enumtypes.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumtypes.xml,v retrieving revision 1.21 retrieving revision 1.22 diff -C2 -d -r1.21 -r1.22 *** enumtypes.xml 15 Sep 2006 14:45:44 -0000 1.21 --- enumtypes.xml 11 Oct 2006 11:29:09 -0000 1.22 *************** *** 1,11 **** <root> <enumTypeCopyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Chiara Fornarola </enumTypeCopyright> ! <Enumerations> --- 1,11 ---- <root> <enumTypeCopyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Chiara Fornarola </enumTypeCopyright> ! <Enumerations> *************** *** 45,48 **** --- 45,52 ---- <value>QuantLib::SalvagingAlgorithm::Spectral</value> </EnumerationDefinition> + <EnumerationDefinition> + <string>Hypersphere</string> + <value>QuantLib::SalvagingAlgorithm::Hypersphere</value> + </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> *************** *** 167,172 **** <string>Unadjusted</string> <value>QuantLib::Unadjusted</value> ! </EnumerationDefinition> ! <!-- For Mgx export only --> <EnumerationDefinition> <string>Indifferent</string> --- 171,176 ---- <string>Unadjusted</string> <value>QuantLib::Unadjusted</value> ! </EnumerationDefinition> ! <!-- For Mgx export only --> <EnumerationDefinition> <string>Indifferent</string> *************** *** 316,323 **** <value>QuantLib::TARGET()</value> </EnumerationDefinition> ! <EnumerationDefinition> <!-- clone of TARGET --> ! <string>EUR</string> ! <value>QuantLib::TARGET()</value> ! </EnumerationDefinition> <EnumerationDefinition> <string>Turkey</string> --- 320,328 ---- <value>QuantLib::TARGET()</value> </EnumerationDefinition> ! <EnumerationDefinition> ! <!-- clone of TARGET --> ! <string>EUR</string> ! <value>QuantLib::TARGET()</value> ! </EnumerationDefinition> <EnumerationDefinition> <string>Turkey</string> *************** *** 332,343 **** <value>QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange)</value> </EnumerationDefinition> ! <EnumerationDefinition> ! <string>LONDON</string> <!-- Clone for UnitedKingdom::Exchange --> ! <value>QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange)</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>GBP</string> <!-- Clone for UnitedKingdom::Exchange --> ! <value>QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange)</value> ! </EnumerationDefinition> <EnumerationDefinition> <string>UnitedKingdom::Metals</string> --- 337,350 ---- <value>QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange)</value> </EnumerationDefinition> ! <EnumerationDefinition> ! <string>LONDON</string> ! <!-- Clone for UnitedKingdom::Exchange --> ! <value>QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange)</value> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>GBP</string> ! <!-- Clone for UnitedKingdom::Exchange --> ! <value>QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange)</value> ! </EnumerationDefinition> <EnumerationDefinition> <string>UnitedKingdom::Metals</string> *************** *** 887,914 **** </EnumerationDefinition> <EnumerationDefinition> - <string>Every4Week</string> - <value>QuantLib::EveryFourthWeek</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>EveryFourthWeek</string> - <value>QuantLib::EveryFourthWeek</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Every-Fourth-Week</string> - <value>QuantLib::EveryFourthWeek</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Every3Week</string> - <value>QuantLib::EveryThirdWeek</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>EveryThirdWeek</string> - <value>QuantLib::EveryThirdWeek</value> - </EnumerationDefinition> - <EnumerationDefinition> - <string>Every-Third-Week</string> - <value>QuantLib::EveryThirdWeek</value> - </EnumerationDefinition> - <EnumerationDefinition> <string>Biweekly</string> <value>QuantLib::Biweekly</value> --- 894,897 ---- *************** *** 989,993 **** </EnumerationDefinitions> </Enumeration> ! <Enumeration> <type>QuantLib::GFunctionFactory::ModelOfYieldCurve</type> --- 972,976 ---- </EnumerationDefinitions> </Enumeration> ! <Enumeration> <type>QuantLib::GFunctionFactory::ModelOfYieldCurve</type> *************** *** 1012,1019 **** </EnumerationDefinitions> </Enumeration> - </Enumerations> </root> - --- 995,1000 ---- Index: enumclasses.xml =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/gensrc/metadata/enumclasses.xml,v retrieving revision 1.27 retrieving revision 1.28 diff -C2 -d -r1.27 -r1.28 *** enumclasses.xml 28 Sep 2006 10:55:35 -0000 1.27 --- enumclasses.xml 11 Oct 2006 11:29:09 -0000 1.28 *************** *** 1,9 **** <root> <enumClassCopyright> ! Copyright (C) 2005 Plamen Neykov ! Copyright (C) 2005, 2006 Eric Ehlers ! Copyright (C) 2006 Katiuscia Manzoni ! Copyright (C) 2006 Ferdinando Ametrano ! Copyright (C) 2006 Chiara Fornarola </enumClassCopyright> <Enumerations> --- 1,9 ---- [...1308 lines suppressed...] ! <EnumerationDefinition> ! <string>EURIBOR SW 5Y</string> ! <value>EURIBORSWAPFIXIFR_5Y</value> ! <libraryClass>QuantLib::EuriborSwapFixIFR5Y</libraryClass> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>EURIBOR SW 10Y</string> ! <value>EURIBORSWAPFIXIFR_10Y</value> ! <libraryClass>QuantLib::EuriborSwapFixIFR10Y</libraryClass> ! </EnumerationDefinition> ! <EnumerationDefinition> ! <string>EURIBOR SW 30Y</string> ! <value>EURIBORSWAPFIXIFR_30Y</value> ! <libraryClass>QuantLib::EuriborSwapFixIFR30Y</libraryClass> ! </EnumerationDefinition> </EnumerationDefinitions> </Enumeration> + </Enumerations> </root> |
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From: Eric E. <eri...@us...> - 2006-10-10 14:50:07
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Update of /cvsroot/quantlibaddin/QuantLibAddin/Docs/images In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv825 Modified Files: cmdline.png demo_formulas.jpg demo_values.jpg design.jpg Log Message: update graphics for design doc Index: demo_values.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/demo_values.jpg,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 Binary files /tmp/cvsMuAtJv and /tmp/cvsjyYad2 differ Index: demo_formulas.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/demo_formulas.jpg,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 Binary files /tmp/cvsQH2Hfx and /tmp/cvsIfm5P3 differ Index: cmdline.png =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/cmdline.png,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 Binary files /tmp/cvsx2BOPz and /tmp/cvstxL2t6 differ Index: design.jpg =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/Docs/images/design.jpg,v retrieving revision 1.2 retrieving revision 1.3 diff -C2 -d -r1.2 -r1.3 Binary files /tmp/cvsilg75B and /tmp/cvsmx6UN8 differ |
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From: Ferdinando A. <na...@us...> - 2006-10-09 15:48:22
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Update of /cvsroot/quantlibaddin/QuantLibAddin/qlo In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv17396/qlo Modified Files: ratehelpers.cpp ratehelpers.hpp Log Message: Index: ratehelpers.hpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.hpp,v retrieving revision 1.4 retrieving revision 1.5 diff -C2 -d -r1.4 -r1.5 *** ratehelpers.hpp 22 Jun 2006 15:18:13 -0000 1.4 --- ratehelpers.hpp 9 Oct 2006 15:48:19 -0000 1.5 *************** *** 32,38 **** public: double setQuote(double quote); - //QuantLib::Handle<QuantLib::Quote> quoteHandle() const { - // return quoteHandle_; - //} protected: boost::shared_ptr<QuantLib::SimpleQuote> quote_; --- 32,35 ---- *************** *** 53,57 **** class FuturesRateHelper : public RateHelper { public: - QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj); FuturesRateHelper( const double price, --- 50,53 ---- *************** *** 62,65 **** --- 58,62 ---- const QuantLib::DayCounter& dayCounter, const QuantLib::Rate convAdj); + QuantLib::Spread setConvexityAdjustment(QuantLib::Rate convAdj); protected: boost::shared_ptr<QuantLib::SimpleQuote> convAdj_; Index: ratehelpers.cpp =================================================================== RCS file: /cvsroot/quantlibaddin/QuantLibAddin/qlo/ratehelpers.cpp,v retrieving revision 1.8 retrieving revision 1.9 diff -C2 -d -r1.8 -r1.9 *** ratehelpers.cpp 3 Oct 2006 17:24:15 -0000 1.8 --- ratehelpers.cpp 9 Oct 2006 15:48:18 -0000 1.9 *************** *** 58,68 **** } - QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj) - { - QuantLib::Spread diff = convAdj - convAdj_->value(); - convAdj_->setValue(convAdj); - return diff; - } - FuturesRateHelper::FuturesRateHelper( const double price, --- 58,61 ---- *************** *** 95,98 **** --- 88,98 ---- } + QuantLib::Spread FuturesRateHelper::setConvexityAdjustment(QuantLib::Rate convAdj) + { + QuantLib::Spread diff = convAdj - convAdj_->value(); + convAdj_->setValue(convAdj); + return diff; + } + SwapRateHelper::SwapRateHelper( const double quote, |
